Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0859
Annualized Std Dev 0.2789
Annualized Sharpe (Rf=0%) 0.3082

Row

Daily Return Statistics

Close
Observations 5543.0000
NAs 1.0000
Minimum -0.1198
Quartile 1 -0.0066
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0080
Maximum 0.1684
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0176
Skewness 0.2367
Kurtosis 7.0636

Downside Risk

Close
Semi Deviation 0.0125
Gain Deviation 0.0130
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0168
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.8298
Historical VaR (95%) -0.0283
Historical ES (95%) -0.0419
Modified VaR (95%) -0.0247
Modified ES (95%) -0.0305
From Trough To Depth Length To Trough Recovery
2000-03-27 2002-10-09 2016-09-07 -0.8298 4139 637 3502
2020-02-20 2020-03-16 2020-06-05 -0.2856 75 18 57
2018-08-30 2018-12-24 2019-04-17 -0.2316 158 80 78
2000-01-04 2000-01-06 2000-01-19 -0.1478 11 3 8
2020-09-03 2020-09-23 2020-12-01 -0.1275 62 14 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA 2.1 0.6 -2.2 0.7 -0.5 0.7 0 -0.5 1.5 -0.1 2.2
2000 2.8 0.6 2.1 1.3 5.4 1.6 -1.2 0.6 -4.1 -0.9 1.6 -5 4.5
2001 1.3 2.8 0.5 4.1 3 3 3.2 0 -0.9 4.2 -0.8 -3.5 18.2
2002 -1 5.8 1.9 -0.5 -1.6 -4.8 -4.7 -1.3 6.1 2.9 -0.7 -1.1 0.4
2003 -0.4 1.6 0.8 0.9 1.6 1.3 -1.1 0.9 2.3 -0.6 1.5 -0.3 8.8
2004 -0.5 1.3 0.9 -2.4 -0.1 -1.9 0.3 0.7 2.7 0.4 2 -0.2 3.3
2005 0.3 1.1 -1 0.7 0.9 -0.1 0.2 -0.2 0.7 -0.1 1.9 -0.8 3.5
2006 0.4 1.4 -0.3 -1 2.4 -0.5 -1.7 0.5 -0.4 -1.4 -0.9 0.1 -1.4
2007 -0.1 -0.5 -0.1 0.3 0.1 0.2 0.8 1.1 1.1 -1.9 -0.8 -1.2 -1
2008 1 -2.7 4.3 3.2 0.6 1.4 -1.3 -2.1 -1.1 0.2 -7.5 0.8 -3.6
2009 -1.8 -0.9 1.5 0.3 2.9 0.1 -0.3 -1.9 -3 -2.7 1 -0.9 -5.7
2010 1.1 1.5 0 -2 -0.9 -0.3 0.2 3 -0.1 0.1 2.1 -0.4 4.3
2011 1.9 -1.6 0.1 -0.1 -2.2 1.5 -0.5 -0.9 -2.6 -2.6 0.7 -0.3 -6.5
2012 0.8 0.8 -0.2 0.2 -2.7 3.2 -0.3 0.7 -0.1 1.4 -0.2 2.1 5.7
2013 1.2 0.4 -0.7 -0.5 -0.9 0.6 1 -0.6 1 0 0.6 0.7 2.8
2014 -0.3 -0.1 1.8 0.3 0 1.1 -0.4 0.4 -1.6 1.4 -1.1 -1 0.4
2015 -0.8 -0.4 -0.5 1.3 0.3 0.8 -0.1 -3.1 0.5 -0.4 1 -1.2 -2.8
2016 0.3 3.2 1.1 -0.5 0 0.5 0.5 0.3 0.7 -0.8 -1.7 -1 2.5
2017 0.7 1.1 -0.1 0.9 0.4 0 0.2 -0.1 0.7 0 -0.4 -0.6 2.8
2018 -0.9 -1.6 1.8 1.1 1.6 0.3 0.4 0.1 0.2 1.3 0.7 0.8 6
2019 -0.4 0.7 1.3 -0.3 -1.6 1.3 -0.5 -0.2 -0.8 0.9 -0.5 0.2 0.1
2020 -1.6 0.1 -4.2 -2.8 0.3 1.2 1.8 1.7 1.6 -2.5 1.3 0.2 -3.2
2021 2.5 3 0.4 NA NA NA NA NA NA NA NA NA 6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-03-10  51.1 SPY    129.  0.0088    0.0463   0.0392       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-03-11  51.3 SPY    131.  0.0111    0.0447   0.0748       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-03-12  50.1 SPY    129. -0.00960   0.0143   0.0577       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-03-15  51.5 SPY    131.  0.0143    0.0222   0.0487       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-03-16  51.9 SPY    131. -0.0038    0.0207   0.0574       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-03-17  51.6 SPY    130. -0.0043    0.0075   0.0593       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart